<p>
  This algorithm will combine <a href="/tutorials/strategy-library/term-structure-effect-in-commodities">the term structure effect</a> and
  <a href="/tutorials/strategy-library/momentum-effect-in-commodities-futures" rel="nofollow">the momentum effect</a> to exploit the trading signals in commodity futures.
  The momentum strategy goes long commodity futures with the highest one-month momentum and shorts on futures with the lowest one-month momentum. Signals are based on the historical return.
  While the portfolio in term structure strategy is created with futures contracts in deep contango and backwardation. It goes long commodities with the highest roll-returns and short commodities with the lowest roll-returns and holds the long-short positions for one month.
</p>
